A Study On Momentum Strategy And Contrarian Strategy Of Chinese A-Shares

The traditional efficient market theory is based on the assumption of "rational person",which holds that the future return of stock is unpredictable.However,more and more empirical evidences show that there are momentum returns and reversal returns in the stock market.Chinese scholars have done a lot of research on the momentum effect and reversal effect of A shares,but the conclusions are not consistent,and some are even completely opposite.This paper will find out the reason for the difference of the conclusions through multi-perspective classification research.This paper uses Jegadeesh and Titman's method,buying the past winner portfolio and selling the past loser portfolio,to make an empirical study on the momentum effect and reversal effect of A shares.Firstly,we use the full sample data of Shanghai and Shenzhen stock markets from 1991 to 2018 to draw a general conclusion.Then we classify the sample data from the perspective of time and company characteristics,and draw specific conclusions under various classification methods.Classification methods include different time intervals such as before and after the reform of nontradable shares,before and after margin trading,bull market,bear market,balanced oscillation market,and different company characteristics such as industry,region,establishment time and market value of circulation.The conclusion is that there is a significant reversal effect in China's A-share market in general,and there are different momentum effects in different policy environments,market environments and company characteristics.This paper shows the authenticity of A-share momentum effect and reversal effect from multiple perspectives.The formulators of investment strategies can optimize the strategies according to their specific investment targets and the corresponding conclusions of this paper.